VRM Options History — November 2024

In November 2024, VRM traded between $4.63 and $9.57. ATM implied volatility averaged 144.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 41.5%. IV traded above realized volatility by 18.2% (HV 20d: 126.5%). Max pain ranged from $0.50 to $0.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2024-11-29: Largest IV spike — 37.8% change
  • 2024-11-14: Highest IV Rank — 17.9%
  • 2024-11-14: Largest Expected Move — 49.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.99$4.63$9.57$9.06$5.24
Max Pain$0.50$0.50$0.50$0.50$0.50
ATM IV144.7%117.5%171.6%141.8%161.9%
Expected Move41.5%33.7%49.2%40.6%46.4%
HV 20d126.5%48.7%188.4%57.0%188.4%
HV 60d120.2%84.6%133.7%124.0%133.7%
IV Rank13.3%8.0%17.9%13.0%15.5%
IV Percentile40.0%4.4%56.7%48.4%53.2%
Term Structure-47.4%-99.6%-4.3%-27.5%-97.8%
Skew 25d-233.4%-297.3%-183.0%-203.8%-295.2%
Skew 10d-202.1%-253.2%-154.1%-191.7%-241.2%
Call IV 25d262.3%216.8%316.5%243.7%314.1%
Put IV 25d28.9%16.9%44.0%39.9%18.8%
Bid-Ask Spread %10.295.9317.716.7712.06
Gamma HHI0.160.150.160.160.16
Net GEX13.9K12.4K15.6K12.5K14.6K
Net DEX-18.8M-26.2M-12.0M-24.7M-13.8M
Net VEX-9.2K-9.9K-7.7K-9.9K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI32,743.1532,64532,85532,64532,854

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$9.06$0.50141.8%40.6%57.0%13.0%0.0%-203.8%-27.5%12.5K-24.7M-9.9K0.006.77N/AN/A0028,2444,401
2024-11-04$8.79$0.50141.7%40.6%57.3%12.9%0.0%-183.0%-27.3%12.7K-24.0M-9.8K0.006.89N/AN/A0028,2444,401
2024-11-05$9.42$0.50143.3%41.1%63.5%13.2%0.0%-200.9%-27.3%12.5K-25.8M-9.3K0.006.16N/AN/A0028,2444,401
2024-11-06$9.57$0.50143.8%41.2%56.1%13.3%0.0%-199.6%-27.3%12.4K-26.2M-9.4K0.005.93N/AN/A0028,2544,401
2024-11-07$9.18$0.50143.3%41.1%57.0%13.2%0.0%-202.2%-28.5%12.6K-25.1M-9.2K0.006.29N/AN/A0028,2544,401
2024-11-08$9.15$0.50143.1%41.0%52.4%13.2%0.0%-201.7%-28.0%12.7K-25.0M-9.1K0.006.29N/AN/A0028,2544,401
2024-11-11$9.00$0.50143.2%41.0%48.7%13.2%0.0%-201.6%-28.1%12.8K-24.6M-9.0K0.006.28N/AN/A0028,2544,401
2024-11-12$8.98$0.50143.2%41.0%48.7%13.2%0.0%-201.2%-27.6%12.8K-24.6M-8.9K0.006.27N/AN/A0028,2544,401
2024-11-13$6.17$0.50132.2%37.9%140.9%11.4%0.0%-222.8%-26.6%14.3K-16.4M-9.6K0.0011.47N/AN/A0028,2544,401
2024-11-14$7.14$0.50171.6%49.2%152.4%17.9%0.0%-282.9%-96.8%13.5K-19.2M-9.4K0.008.71N/AN/A0028,2544,401
2024-11-15$6.46$0.50134.0%38.4%155.1%11.7%0.0%-219.7%-28.0%14.2K-17.3M-9.3K0.0010.61N/AN/A0028,2544,401
2024-11-18$5.20$0.50126.0%36.1%170.6%10.3%0.0%-224.8%-26.7%15.3K-13.7M-9.4K0.0014.78N/AN/A0028,4544,401
2024-11-19$4.63$0.50162.3%46.5%172.2%16.3%0.0%-295.7%-99.6%14.5K-12.0M-9.5K0.0015.52N/AN/A0028,4544,401
2024-11-20$5.44$0.50128.1%36.7%185.0%10.7%0.0%-225.8%-26.8%14.7K-14.4M-9.3K0.0012.98N/AN/A0028,4544,400
2024-11-21$5.37$0.50162.5%46.6%184.6%16.4%0.0%-294.8%-96.9%14.9K-14.2M-9.1K0.0013.09N/AN/A0028,4544,400
2024-11-22$5.33$0.50162.1%46.5%184.7%16.3%0.0%-296.1%-96.8%14.0K-14.0M-9.7K0.0012.50N/AN/A0028,4544,400
2024-11-25$5.53$0.50129.1%37.0%185.9%10.8%0.0%-222.4%-27.5%15.6K-14.7M-8.7K0.0013.05N/AN/A0028,4544,400
2024-11-26$5.27$0.50163.3%46.8%185.5%16.3%0.0%-297.3%-99.4%14.9K-13.9M-8.8K0.0012.45N/AN/A0028,4544,400
2024-11-27$4.85$0.50117.5%33.7%184.6%8.0%0.0%-197.1%-4.3%15.6K-12.8M-7.7K0.0017.71N/AN/A0028,4544,400
2024-11-29$5.24$0.50161.9%46.4%188.4%15.5%0.0%-295.2%-97.8%14.6K-13.8M-8.7K0.0012.06N/AN/A0028,4544,400